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Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.; Haji-Ali, Abdul-Lateef - In: The journal of computational finance 26 (2022) 1, pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
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Unrealistic expectations: the futility of precisely estimating a stock's expected return
Das, Sanjiv R.; Ostrov, Daniel - In: Journal of investment management : JOIM 22 (2024) 1, pp. 58-64
Persistent link: https://www.econbiz.de/10014546370
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The covariances between sampled autocovariances and between serial correlations for finit realisations from ARUMA time series models
Anderson, O. D.; Gooijer, J. G. de - 1981
Persistent link: https://www.econbiz.de/10001832040
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The covariances between sampled autocovariances and between serial correlations for finite realisations for ARUMA time series models
Anderson, O. D.; Gooijer, J. G. de - In: Time series analysis : theory and practice 1 (1981), pp. 7-22
Persistent link: https://www.econbiz.de/10001832058
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Cutting-plane algorithm for estimation of sparse Cox proportional hazards models
Saishu, Hiroki; Kudo, Kota; Takano, Yuichi - In: Top : an official journal of the Spanish Society of … 32 (2024) 1, pp. 57-82
Persistent link: https://www.econbiz.de/10014547163
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Likelihood-based inference in temporal hierarchies
Møller, Jan Kloppenborg; Nystrup, Peter; Madsen, Henrik - In: International journal of forecasting 40 (2024) 2, pp. 515-531
Persistent link: https://www.econbiz.de/10014547174
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Counterfactual reconciliation : incorporating aggregation constraints for more accurate causal effect estimates
Cengiz, Doruk; Tekgüç, Hasan - In: International journal of forecasting 40 (2024) 2, pp. 564-580
Persistent link: https://www.econbiz.de/10014547183
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Optimal hierarchical EWMA forecasting
Sbrana, Giacomo; Pelagatti, Matteo - In: International journal of forecasting 40 (2024) 2, pp. 616-625
Persistent link: https://www.econbiz.de/10014547189
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Harmonic choice model
Blavatskyy, Pavlo R. - In: Theory and decision : an international journal for … 96 (2024) 1, pp. 49-69
Persistent link: https://www.econbiz.de/10014547307
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Improving financial volatility nowcasts
Kruse-Becher, Robinson; Liu, Yuze - In: The European journal of finance 30 (2024) 2, pp. 101-126
Persistent link: https://www.econbiz.de/10014547345